David A. Bessler

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PREFACE The global food system, driven by consumer demand, technology, and the liberalization of international markets, is changing dramatically. Agriculture is striving to keep pace. Producers are seeing unprecedented demand for change in all aspects of their businesses. No commodity system reflects this new environment more completely than the hog/pork(More)
Directed Acyclic Graphs (DAG's) and Error Correction Models (ECM's) are employed to analyze questions of price discovery between spatially separated commodity markets and the transportation market linking them together. Results from our analysis suggest these markets are highly interconnected but it is the inland commodity market that is strongly influenced(More)
The paper considers the use of directed acyclic graphs (DAGs), and their construction from observational data with PC-algorithm TETRAD II, in providing over-identifying restrictions on the innovations from a vector autoregression. Results from Sims' 1986 model of the US economy are replicated and compared using these data-driven techniques. The directed(More)
We present direct empirical evidence that short sellers enhance the informational efficiency of prices. Using daily shorting flow data for a large panel of NYSE-listed stocks, we first show that greater shorting flow reduces deviations of transaction prices from a random walk. Second, at lower frequencies, we show that more shorting flow accelerates the(More)
We show how statistical methods based on directed graphs may be useful in modeling traffic fatalities by comparing models specified using directed graphs to a model originally developed by Peltzman. The comparison uses Peltzman's original data, as well as up-dated data (and coefficients) through 1993. Out-of-sample forecasts of traffic fatalities from(More)
This study investigates financial contagion among seven international stock markets around the October 19, 1987 crash. Building on a recent advance in vector autoregression analysis by [Swanson, N., Granger, C.W.J., 1997. Impulse response functions based on a causal approach to residual orthogonalization in vector autoregression. Journal of the American(More)
100 Word Abstract: Using Directed Acyclic Graphs (DAG's) and Error Correction Models we study the dynamics of the notoriously volatile international freight prices that comprise the Baltic Panamax Index, the index on which freight futures trading is based. The DAG's are used to make definitive statements about the contemporaneous correlations between prices(More)
Copyright 2004 by Yu, Bessler and Fuller. All rights reserved. Readers may make verbatim copies of this document for non-commercial purposes by any means, provided that this copyright notice appears on all such copies. Abstract Transportation rates are vital componenets in the structure of U.S. grain exports. In this paper we study the dynamic properties of(More)